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On a symmetrization of diffusion processes

Jiro Akahori () and Yuri Imamura

Quantitative Finance, 2014, vol. 14, issue 7, 1211-1216

Abstract: The latter author, together with collaborators, proposed a numerical scheme to calculate the price of barrier options. The scheme is based on a symmetrization of diffusion processes. The present paper aims to give a basis to the use of the numerical scheme for Heston and SABR-type stochastic volatility models. This will be done by showing a fairly general result on the symmetrization (in multi-dimension/multi-reflections). Further applications (to time-inhomogeneous diffusions/ to time-dependent boundaries/to curved boundaries) are also discussed.

Date: 2014
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Working Paper: On a Symmetrization of Diffusion Processes (2012) Downloads
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